Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0351
Annualized Std Dev 0.2159
Annualized Sharpe (Rf=0%) -0.1625

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.4099
Quartile 1 -0.0044
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0045
Maximum 0.3947
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0136
Skewness -0.5187
Kurtosis 283.4921

Downside Risk

Close
Semi Deviation 0.0098
Gain Deviation 0.0120
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.8026
Historical VaR (95%) -0.0147
Historical ES (95%) -0.0284
Modified VaR (95%) NA
Modified ES (95%) -0.1162
From Trough To Depth Length To Trough Recovery
1999-07-19 2020-03-18 NA -0.8026 5455 5201 NA
1999-02-10 1999-04-20 1999-06-15 -0.0592 87 48 39
1999-01-08 1999-01-14 1999-02-02 -0.0268 17 5 12
1999-06-16 1999-06-18 1999-06-23 -0.0132 6 3 3
1999-06-29 1999-06-29 1999-07-01 -0.0131 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.7 0 0 0 0.7 0.7 0 0.7 0 -0.7 0.8 1.4
2000 0 0 0 0.8 0 0 0 0.7 -0.7 -0.7 0.8 -0.8 0
2001 0.7 0.2 -0.1 0.1 -0.5 0.8 0.1 0.3 -0.6 1.7 0.3 0.6 3.7
2002 -0.1 0.6 0.3 1 0.1 -2.5 0.1 0 0.2 0.3 0.9 -0.3 0.5
2003 0.4 0 0.1 -0.4 0.8 0.5 0.3 0.5 0.8 0.6 0.1 0 3.8
2004 0.1 0.3 0.7 0.9 0.8 0 0.1 0.6 0.7 -0.3 -0.2 0.8 4.6
2005 0.1 0.6 0.2 0.5 -0.1 0.6 0 -0.4 1.4 0 -0.6 0.1 2.4
2006 0.2 0.4 -0.1 0 0.4 0.4 0 0.6 0.8 0.2 0.1 0.3 3.4
2007 0.1 -0.5 0.1 0.2 0.1 0.7 -1.1 0.8 -0.3 -0.7 1.4 1.2 2
2008 0.3 -2.3 1.3 -0.2 0.2 0 2.4 0.4 7.1 -1.7 -5.8 0.4 1.6
2009 2.9 1.2 6.3 2.4 0 2.2 2.9 0.6 -1.3 -3.2 1.9 0 16.8
2010 -0.2 1.7 1.2 -1.6 0 0.7 0.9 0.4 1.1 0 0.6 0 4.8
2011 0 1.4 -1.6 1 0.2 0.2 2.1 0.2 -1.2 -1.1 0 -0.5 0.7
2012 0.4 0.2 0.8 1 0.2 0.4 0 -0.8 0.4 2.5 -1.4 0.8 4.8
2013 0 1.4 -0.2 0.9 -2 -1.6 0.6 0.2 0.8 1.9 -0.4 -0.8 0.8
2014 -0.2 0.4 -0.4 0.2 0.2 -0.4 0 -0.4 -0.4 1.1 -0.2 0.9 0.7
2015 -0.7 1.1 0 -0.4 -0.4 0.9 -0.2 0 -0.7 -1 0.2 0.5 -0.7
2016 0 0.8 0 0.2 -0.2 0.5 -1.1 -0.9 0.5 -0.5 0.7 0.4 0.3
2017 -0.4 0.4 -0.2 0.4 0 1.1 0.2 0 0 0 -0.7 -0.2 0.6
2018 0.5 0 -0.2 0.5 0.2 0 0.2 -0.2 -0.2 0.7 -0.7 0.8 1.4
2019 0 -0.9 1.2 -0.2 -1.2 -0.5 0 -0.2 -0.2 0.5 -0.2 0.9 -1
2020 -0.9 -3.1 -1.2 -2.1 1.5 -0.3 0.6 1.1 -0.8 0.3 -0.3 1.3 -4.1
2021 0 1 0 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.25 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.25 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.31 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.31 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.25 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.19 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart